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Constant relative risk aversion utility and consumption CAPM: discount factors and risk aversions for Norway, Sweden, and the UK
Cogent Economics & Finance Pub Date : 2024-01-11 , DOI: 10.1080/23322039.2023.2299609 Per Bjarte Solibakke 1, 2
Cogent Economics & Finance Pub Date : 2024-01-11 , DOI: 10.1080/23322039.2023.2299609 Per Bjarte Solibakke 1, 2
Affiliation
This paper applies the newly suggested Markov chained Monte Carlo Surface Sampling Algorithm of Zappa estimating European discount factors and relative risk aversions for the CRRA utility functions...
中文翻译:
恒定相对风险厌恶效用和消费 CAPM:挪威、瑞典和英国的贴现因素和风险厌恶
本文应用 Zappa 新提出的马尔可夫链蒙特卡罗表面采样算法来估计欧洲贴现因子和 CRRA 效用函数的相对风险厌恶...
更新日期:2024-01-12
中文翻译:
恒定相对风险厌恶效用和消费 CAPM:挪威、瑞典和英国的贴现因素和风险厌恶
本文应用 Zappa 新提出的马尔可夫链蒙特卡罗表面采样算法来估计欧洲贴现因子和 CRRA 效用函数的相对风险厌恶...